Background and Objectives: The relationship between depression in tinnitus patients without hearing loss remains elusive. This study aimed to investigate the association between tinnitus and normal hearing and depression. Materials and Methods: Participants aged ≥12 years with normal hearing levels were recruited from the Korea National Health and Nutrition Examination Survey (KNHANES), 2009–2012. Participants with normal hearing were divided into the tinnitus and non-tinnitus groups. The relationship between tinnitus with normal hearing and variables including age, sex, depression, ischemic heart diseases, stroke, diabetes, hypertension, dyslipidemia, chronic renal disease, noise exposure, and depression were analyzed. The odds of depression for tinnitus with normal hearing were estimated using multiple logistic regression tests with complex sampling. Results: The results showed that 4.9% (107/2221) and 2.8% (290/10,316) of participants in the tinnitus group and the non-tinnitus group, respectively, experienced depression (p < 0.001). Sex, ischemic heart disease, dyslipidemia, noise exposure, and depression were positively related to tinnitus with normal hearing. The odds ratio of depression for tinnitus with normal hearing were 1.89 (95% CI 1.37–2.60, p < 0.001). Conclusions: Tinnitus with normal hearing was related to the female sex, ischemic heart disease, dyslipidemia, noise exposure, and depression. Depression had the highest odds of tinnitus with normal hearing.